IDEAS home Printed from https://ideas.repec.org/a/pcp/pucrev/y2005i53-54p173-212.html
   My bibliography  Save this article

Country Risk: an empirical approach to estimate the probability of default in emergent markets

Author

Listed:
  • Gonzalo Camargo Cárdenas

    (Pontificia Universidad Católica del Perú - Departamento de economía)

  • Mayko Camargo Cardenas

Abstract

In this paper we have suggested a new methodology to estimate the probability of default of a country as a function of other macroeconomics variables. Such methodology is based in the valuation of the prices in the secondary market of bonds issued by debtor countries. We have chosen the Brady bonds because their institutional characteristics do not depend on the issuer country, which allows us to build a homogeneous panel. The methodology proposed takes elements of traditional models such as the functional structure of the probability and elernents of term structure models. The paper demonstrates a new way to extract sovereign nsk, implicit in trade bond prices.

Suggested Citation

  • Gonzalo Camargo Cárdenas & Mayko Camargo Cardenas, 2004. "Country Risk: an empirical approach to estimate the probability of default in emergent markets," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, issue 53-54, pages 173-212.
  • Handle: RePEc:pcp:pucrev:y:2005:i:53-54:p:173-212
    as

    Download full text from publisher

    File URL: http://revistas.pucp.edu.pe/index.php/economia/article/view/865/824
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pcp:pucrev:y:2005:i:53-54:p:173-212. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/depucpe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.